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We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990; Melvin and Peiers Melvin, 2003; Cai, Howorka, and Wongswan, 2008). We show that recently developed estimators have very different implications for the impact of jumps on exchange rate...
Persistent link: https://www.econbiz.de/10010951615
Global Interdependence Center, Annual Black Tie Gala in Celebration of Greece, Philadelphia, Penn., July 25, 2007
Persistent link: https://www.econbiz.de/10005526220
Presentation to the European Banking & Financial Forum 2001, Czech National Bank Congress Center, Prague - March 27, 2001
Persistent link: https://www.econbiz.de/10005420462
Presentation to the European Banking & Financial Forum 2001, Czech National Bank Congress Center, Prague - March 27, 2001
Persistent link: https://www.econbiz.de/10011185112
Global Interdependence Center, Annual Black Tie Gala in Celebration of Greece, Philadelphia, Penn., July 25, 2007
Persistent link: https://www.econbiz.de/10011185467